Kalman filter for a multi-product economic model

This paper considers a mathematical model of an economic system, as in [1], in second-order matrix form. This model is reduced to a second-order linear model. This model describes a multi-product economy, taking into account external and internal economic inputs. The optimal observer problem for a Kalman filter is posed for the model [2]. The solution to this problem is described in control theory and allows one to reconstruct the state vector of an economic system if the latter is incompletely known or noisy. The model is reduced to a non-traditional problem of observing a dynamic system, a so-called neoclassical problem. In this formulation, information on higher-order derivatives is used.